Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0028
Annualized Std Dev 0.0782
Annualized Sharpe (Rf=0%) -0.0361

Row

Daily Return Statistics

Close
Observations 3047.0000
NAs 1.0000
Minimum -0.0402
Quartile 1 -0.0026
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0026
Maximum 0.0462
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0049
Skewness 0.1702
Kurtosis 6.3519

Downside Risk

Close
Semi Deviation 0.0035
Gain Deviation 0.0034
Loss Deviation 0.0034
Downside Deviation (MAR=210%) 0.0096
Downside Deviation (Rf=0%) 0.0035
Downside Deviation (0%) 0.0035
Maximum Drawdown 0.2826
Historical VaR (95%) -0.0079
Historical ES (95%) -0.0111
Modified VaR (95%) -0.0072
Modified ES (95%) -0.0098
From Trough To Depth Length To Trough Recovery
2011-05-03 2020-03-19 NA -0.2826 2488 2235 NA
2009-11-27 2010-06-07 2010-11-04 -0.1423 237 131 106
2010-11-05 2010-12-21 2011-01-26 -0.0659 56 32 24
2009-02-10 2009-03-03 2009-03-18 -0.0570 19 11 8
2011-01-27 2011-02-22 2011-04-26 -0.0506 62 18 44

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -0.4 0.1 0.1 -0.1 0.7 0.5 1.2 -0.6 -0.3 -0.3 0.3 0.7 1.8
2010 0.4 -0.3 0.6 -0.2 -0.2 1.5 0.1 0.8 0.7 0 -2.3 0.4 1.5
2011 1 -1.1 -0.1 0.1 -0.6 -0.2 -0.9 -0.6 -0.3 -1.7 -1.3 0.1 -5.4
2012 0.5 0 0.1 0.2 0.1 1.3 -0.5 0.1 0.2 0.2 -0.2 -0.1 1.9
2013 -0.1 -0.4 0.2 0.1 -0.3 -0.2 -1 0 0.2 -0.7 0.1 0 -2.1
2014 0 0.5 0 -0.1 0 -0.2 0.2 -0.2 0.1 -1 0.1 -0.5 -1
2015 0 0.1 -0.1 -0.6 -0.7 -0.6 0.3 0.6 0.3 0.1 0.5 -0.1 -0.2
2016 0.3 -0.1 0.4 0.8 0.4 0.7 -0.5 0.3 0 0.4 0.2 0.2 3.2
2017 -0.2 -0.6 0.2 -0.2 -0.3 -0.1 -0.6 -0.2 -0.2 -0.8 0.2 0.4 -2.5
2018 0.4 0.1 0.3 -0.7 -0.2 0.4 -0.2 -0.4 -0.2 0.7 -0.2 0.1 0.2
2019 0.1 -0.5 0 -0.1 0.5 -0.7 0.2 -0.2 0.2 0.2 -0.1 0.2 -0.2
2020 0.2 0.7 -0.7 0.1 0.5 0 -0.4 0 0.2 -0.1 0.7 -0.1 1
2021 -0.5 0.2 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-01-27  33.0 SPY    84.5  0.0102  0.0491   -0.0246  -0.0288   -0.375   -0.333   -0.270 GLD    88.4 -0.0064  0.0457 
2 2009-01-29  32.9 SPY    84.6 -0.0325  0.0218   -0.0272  -0.0982   -0.373   -0.342   -0.254 GLD    89.5  0.0239  0.0582 
3 2009-01-30  32.8 SPY    82.8 -0.0203 -0.0034   -0.069   -0.110    -0.397   -0.355   -0.270 GLD    91.3  0.0202  0.0314 
4 2009-02-02  32.6 SPY    82.6 -0.003  -0.0131   -0.0849  -0.142    -0.408   -0.352   -0.272 GLD    88.8 -0.0271 -0.00120
5 2009-02-03  33.0 SPY    83.7  0.014  -0.00930  -0.0992  -0.135    -0.392   -0.348   -0.265 GLD    88.5 -0.0042  0.001  
6 2009-02-04  32.6 SPY    83.3 -0.0049 -0.0465   -0.102   -0.142    -0.379   -0.343   -0.268 GLD    89.2  0.008   0.0202 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart